// have you overriden Equals/GetHashCode?
IEnumerable<Customer> resultsA = listA.Except(listB);

// no override of Equals/GetHashCode? Can you provide an IEqualityComparer<Customer>?
IEnumerable<Customer> resultsB = listA.Except(listB,new CustomerComparer()); // Comparer shown below

// no override of Equals/GetHashCode + no IEqualityComparer<Customer> implementation?
IEnumerable<Customer> resultsC = listA.Where(a => !listB.Any(b => b.Id == a.Id));

// are the lists particularly large? perhaps try a hashset approach 
HashSet<int> customerIds = new HashSet<int>(listB.Select(b => b.Id).Distinct());
IEnumerable<Customer> resultsD = listA.Where(a => !customerIds.Contains(a.Id));

…

class CustomerComparer : IEqualityComparer<Customer>
{
    public bool Equals(Customer x,Customer y)
    {
        return x.Id.Equals(y.Id);
    }

    public int GetHashCode(Customer obj)
    {
        return obj.Id.GetHashCode();
    }
}